Extreme-aggregation measures in the RDEU model

DOI10.1016/j.spl.2019.01.023zbMath1420.91127OpenAlexW2913707042MaRDI QIDQ1726940

Taizhong Hu, Ouxiang Chen

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.01.023

zbMATH Keywords

rank-dependent expected utilitycoherent risk measuredistortion risk measureshortfall risk measure

Mathematics Subject Classification ID

Cites Work

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• ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
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